Publication at Faculty of Mathematics and Physics |
2020
Abstract
Maximization of a convex quadratic form on a convex polyhedral set is an NP-hard problem. We focus on computing an upper bound based on a factorization of the quadratic form matrix and employment of the maximum vector norm.
Effectivity of this approach depends on the factorization used. We discuss several choices as well as iterative methods to improve performance of a particular factorization.
We carried out numerical experiments to compare various alternatives and to compare our approach with other standard approaches, including McCormick envelopes.